THE IMPACTS OF MACROECONOMIC CHANGES ON AGRICULTURAL CREDIT RISK IN BRAZIL

• Author(s) / Creator(s)

  • Tanaka, Henrique Rafael Barboza Costa

• This paper analyses the relationship between macroeconomic variables (gross domestic product, unemployment rate, public debt and balance of international investments) and credit risk, measured as non-performing loans—or credit default. This study uses quarterly data for macroeconomic variables and rural credit default for the Brazilian banking system from 2012 to 2022. The study finds that deterioration in macroeconomic conditions, such as GDP and unemployment, will increase agricultural credit risk. At the same time, positive changes, like a reduction in the balance of international investments' deficit, reduced credit risk levels. The research methodology involves a Vector autoregression (VARX) technique and Impulse Response Functions (IRFs). This study's findings can contribute to the existing literature on the relationship between macroeconomic variables and credit risk and provide insights for policymakers and financial institutions while addressing rural credit risk models.

• Date created

  2023-01-01

• Subjects / Keywords

  • macroeconomic
  • macroeconomic variables
  • credit risk
  • credit default

• Type of Item

  Research Material

• DOI

  https://doi.org/10.7939/r3-5k5t-p037

• License

  Attribution-NonCommercial 4.0 International